Finance Webinar（2022- 03）

Topic: Understanding Negative Risk-Return Trade-offs

Speaker: Aoxiang Yang , University of Wisconsin-Madison

Time: Monday, January 17,10:00-11:30 a.m. Beijing Time

Location: Zoom meeting room

Abstract：

In the data, stock market volatility weakly or even negatively predicts short-run equity and variance risk premia, challenging traditional risk-return trade-offs at the heart of leading asset pricing models. I show that a puzzling negative volatility-risk premia relationship concentrates in high-uncertainty states, which occur about 20% of the time. While at other times, the relationship is strongly positive. I develop a micro-founded learning model in which investors underreact to structural breaks in high-volatility periods and overreact to transitory variance shocks in normal times. The model can successfully explain the novel time-varying volatility-risk premia relationship at short and long horizons. The model can further account for many other data features, such as a robust positive correlation between equity and variance risk premium, the leverage effect, and negative observations of equity and variance risk premia at the onsets of recessions or market distresses.

Biography

杨翱翔, 威斯康星大学麦迪逊分校金融学博士(Minor in Econ)(2017-2022), 北京大学国家发展研究院经济学硕士 (2013-2016),西安交通大学经济学本科(2009-2013)。 研究兴趣为资产定价、衍生品市场和宏观金融。博士期间和导师 Bjorn Eraker 合作的论 文 “The Price of Higher-Order Catastrophe Insurance: The Case of VIX Options” 发表于金融学顶级期刊The Journal of Finance。该论文系统性地研究了VIX Option市 场的定价，以及 VIX Option 和 SPX Option 之间的联系，并建立了一般均衡模型来解释这 些发现。

Job Market Paper 研究了文献中长期存在的美国股市 Negative Risk-Return Trade- off Puzzle。贡献是把Equity Market和Variance Asset Market存在的Puzzle放在一 个框架里讨论。发现两个不同市场的 Puzzles 都只是集中在一小部分时间段和市场环境里， 并建立均衡模型来解释上述发现。此外，还有一篇 Working Paper 研究 cross-section 里 公司 Debt Structure 和 Equity Return 的关系，并建立局部均衡模型来解释这一发现。

国际学术会议报告经历有:AFA、MFA 等。会议学习经历有:Econometric Society Summer School、Macro-Finance Workshop 等。曾 co-organize UW-Madison 经济、金融系 的Finance-Macro-International Reading Group。授课经历有:博士资产定价、MBA财 务金融概论、本科衍生品、本科投资学等。曾获 “Distinguished Teaching Award” 。

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